Copulae: an overview and recent developments
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Cites work
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- CDO pricing with nested Archimedean copulas
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- Marshall-Olkin type copulas generated by a global shock
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- Mixtures of Gaussian copula factor analyzers for clustering high dimensional data
- Model distances for vine copulas in high dimensions
- Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
- Modelling hierarchical clustered censored data with the hierarchical Kendall copula
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- On the structure and estimation of hierarchical Archimedean copulas
- Optimal design to discriminate between rival copula models for a bivariate binary response
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
- Pair-copula constructions of multiple dependence
- Parameter estimation for pair-copula constructions
- Physically coherent probabilistic weather forecasts using multivariate discrete copula-based ensemble postprocessing methods
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Properties of hierarchical Archimedean copulas
- Randomization tests of copula symmetry
- Remarks on a Multivariate Transformation
- Robust quantile estimation under bivariate extreme value models
- Segmenting Multi-Source Images Using Hidden Markov Fields With Copula-Based Multivariate Statistical Distributions
- Selection of sparse vine copulas in high dimensions with the Lasso
- Simulated Method of Moments Estimation for Copula-Based Multivariate Models
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- Static network reliability estimation under the Marshall-Olkin copula
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- Testing for independence in arbitrary distributions
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- The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
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- The empirical beta copula
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- Weak convergence of empirical copula processes
- When a copula is Archimax
Cited in
(6)- A new wavelet estimator of multivariate copula densities based on Sklar's theorem, with optimal strong uniform convergence rate
- Simulations of Bivariate Archimedean Copulas from Their Nonparametric Generators for Loss Reserving under Flexible Censoring
- Classification with Bernstein copula as discrimination function
- Fast procedure to compute empirical and Bernstein copulas
- Parametric estimation of conditional Archimedean copula generators for censored data
- A comparative study of sampling techniques for generating correlated multivariate normal random variates
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